I'm still receiving the e-mail notifications. I will keep checking this thread to see if anyone else is experiencing the same problem.
"I write because kidnapping, torturing and murdering fictional people is legal."
I tried a little maneouvre to see if I could reset the notifications, and it has worked.
I unclicked "Send me an email alert when I receive a message", saved it to update my settings, then chose it again and saved again.
It seems to have reset the option, as I just received an e-mail notification of a PM.